No it isn't true, when they say "took an arrow in the knee" it's actually an in joke by Bethesda referencing the fact that there are no Greaves in Skyrim, and are instead merged with Armor - There is nothing in Elder Scrolls lore that suggests this is slang for proposing.

I, personally believe that this is true. Although I have no source of anything to back me up. It's the game's fluff, anyway.
HOWEVER!
There's something someone should research: Greg Keyes' Elder Scrolls novels. There might be something relating to this somewhere. (I'm currently reading Infernal City)